GARCH option pricing models and the variance risk premium
Year of publication: |
2020
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Authors: | Zhang, WenJun ; Zhang, Jin E. |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 3/51, p. 1-21
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Subject: | GARCH option-pricing models | stochastic volatility | the CBOE VIX | variance risk premium | ARCH-Modell | ARCH model | Risikoprämie | Risk premium | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Börsenkurs | Share price |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm13030051 [DOI] hdl:10419/239129 [Handle] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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